Quantam SA : Dynamic Gold Intraday

archived programs
Year-to-Date
N / A
Feb Performance
-0.76%
Min Investment
$ 500k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
3.72%
Sharpe (RFR=1%)
1.02
CAROR
4.83%
Assets
$ 10.7M
Worst DD
-3.86
S&P Correlation
0.06

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Feb Qtr YTD 1yr 3yr 5yr 10yr Since
1/2012
Dynamic Gold Intraday -0.76 - - - - - - 10.76
S&P 500 4.31 - - - - - - 164.00
+/- S&P 500 -5.07 - - - - - - -153.24

Strategy Description

Summary

Dynamic Gold is an intraday, diversified set of automated trading algorithms arbitrating the noise of Gold futures prices with a fast dynamic hedging overlay.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 500k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 1.00
Management Fee 1.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 4300 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD -1.00%
Worst Peak-to-Trough 3.18%
Sector Focus Financial & Metals Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 0%
Intraday 100.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Counter-trend
50.00%
Trend-following
50.00%
Strategy Pie Chart

Composition

Precious Metals
100.00%
Composition Pie Chart

Summary

Dynamic Gold is an intraday, diversified set of automated trading algorithms arbitrating the noise of Gold futures prices with a fast dynamic hedging overlay.

Investment Strategy

Takes advantage of the persistent "noise" and the presence of "waves" due to the assymetric behavior of investors who use this specific asset as a hedge and/or a financial refuge. A set of diversified strategies designed to catch micro behaviors in the gold futures prices.

Risk Management

Flat overnight and avoids being in the market during predictable perturbating events. Flattens when implied volatility peaks up above thresholds. Intraday dynamic gearing mechanism cuts all positions when -1% intraday stop loss is reached.
- 60 days drawdown mitigator (-3%)
- Maximal VaR systematic capper (about 6% max margin to equity)
- Trades only the most liquid expiry, hence unsensitive to roll-overs and calendar spreads.
- Limited capacity

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
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Sharpe Ratio: (RF=1%)
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Reward
Compound RoR:
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Standard Deviation:
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Sharpe Ratio: (RF=1%)
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Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-3.86 13 - 1/1/2013 2/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
15.20 13 1/1/2012 1/1/2013
0.56 1 9/1/2013 9/1/2013
0.31 1 7/1/2013 7/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-3.15 5 2/1/2013 6/1/2013
-1.48 5 10/1/2013 2/1/2014
-0.11 1 8/1/2013 8/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods26.0024.0021.0015.009.00
Percent Profitable57.6958.3366.6773.33100.00
Average Period Return0.401.282.764.697.62
Average Gain1.012.904.867.267.62
Average Loss-0.43-0.99-1.44-2.39
Best Period3.865.1810.3814.6611.58
Worst Period-1.78-2.80-2.85-3.121.81
Standard Deviation1.072.424.216.063.57
Gain Standard Deviation0.971.763.544.893.57
Loss Standard Deviation0.500.821.100.53
Sharpe Ratio (1%)0.290.420.540.611.71
Average Gain / Average Loss2.332.923.393.03
Profit / Loss Ratio3.174.096.778.34
Downside Deviation (10%)0.631.552.534.122.66
Downside Deviation (5%)0.460.951.271.77
Downside Deviation (0%)0.420.811.021.26
Sortino Ratio (10%)-0.010.030.12-0.080.01
Sortino Ratio (5%)0.691.091.782.08
Sortino Ratio (0%)0.951.572.723.72

Top Performer Badges

Index Award Type Rank Performance Period

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.